The evaluation of two-sided orthant probabilities for a quadrivariate normal distribution
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DOI: 10.1007/s00180-011-0267-z
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References listed on IDEAS
- Mark J. Schervish, 1984. "Multivariate Normal Probabilities with Error Bound," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(1), pages 81-94, March.
- Tetsuhisa Miwa & A. J. Hayter & Satoshi Kuriki, 2003. "The evaluation of general non‐centred orthant probabilities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 223-234, February.
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Cited by:
- Z. I. Botev, 2017. "The normal law under linear restrictions: simulation and estimation via minimax tilting," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 125-148, January.
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Keywords
Multivariate normal distribution; Quadrivariate normal distribution; Numerical integration; Computational intensity; Orthant probability;All these keywords.
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